| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 82.0% | 84.0% |
| Cumulative Return | 12.04% | 15.92% |
| CAGR﹪ | 57.76% | 80.84% |
| Sharpe | 0.08 | 0.04 |
| Prob. Sharpe Ratio | 92.56% | 79.71% |
| Smart Sharpe | 0.07 | 0.04 |
| Sortino | 0.11 | 0.06 |
| Smart Sortino | 0.1 | 0.06 |
| Sortino/√2 | 0.08 | 0.04 |
| Smart Sortino/√2 | 0.07 | 0.04 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -6.15% | -14.25% |
| Longest DD Days | 10 | 14 |
| Volatility (ann.) | 0.43% | 1.06% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 9.4 | 5.67 |
| Skew | 0.67 | 0.67 |
| Kurtosis | 800.8 | 374.34 |
| Expected Daily | 0.0% | 0.0% |
| Expected Monthly | 3.86% | 5.05% |
| Expected Yearly | 12.04% | 15.92% |
| Kelly Criterion | 3.08% | 4.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.04% | -0.09% |
| Expected Shortfall (cVaR) | -0.04% | -0.09% |
| Max Consecutive Wins | 17 | 17 |
| Max Consecutive Losses | 12 | 12 |
| Gain/Pain Ratio | 0.66 | 0.32 |
| Gain/Pain (1M) | 9.86 | 2.88 |
| Payoff Ratio | 0.77 | 0.76 |
| Profit Factor | 1.02 | 1.01 |
| Common Sense Ratio | 1.04 | 1.02 |
| CPC Index | 0.45 | 0.45 |
| Tail Ratio | 1.02 | 1.01 |
| Outlier Win Ratio | 15.03 | 5.37 |
| Outlier Loss Ratio | 7.91 | 2.82 |
| MTD | -1.22% | -6.13% |
| 3M | 12.04% | 15.92% |
| 6M | 12.04% | 15.92% |
| YTD | 12.04% | 15.92% |
| 1Y | 12.04% | 15.92% |
| 3Y (ann.) | 57.76% | 80.84% |
| 5Y (ann.) | 57.76% | 80.84% |
| 10Y (ann.) | 57.76% | 80.84% |
| All-time (ann.) | 57.76% | 80.84% |
| Best Day | 1.57% | 3.19% |
| Worst Day | -1.53% | -3.04% |
| Best Month | 7.12% | 11.36% |
| Worst Month | -1.22% | -6.13% |
| Best Year | 12.04% | 15.92% |
| Worst Year | 12.04% | 15.92% |
| Avg. Drawdown | -0.06% | -0.53% |
| Avg. Drawdown Days | 0 | 0 |
| Recovery Factor | 1.96 | 1.12 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.06 | 0.03 |
| Avg. Up Month | 6.5% | 11.13% |
| Avg. Down Month | -1.22% | -6.13% |
| Win Days | 57.93% | 58.72% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.36 | - |
| Alpha | 0.0 | - |
| Correlation | 89.08% | - |
| Treynor Ratio | 33.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 15.92 | 12.04 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-10 | 2022-08-19 | -6.15 | 9 |
| 2022-10-21 | 2022-10-31 | -4.74 | 10 |
| 2022-08-04 | 2022-08-09 | -3.33 | 4 |
| 2022-09-07 | 2022-09-13 | -1.92 | 5 |
| 2022-10-15 | 2022-10-20 | -1.56 | 4 |
| 2022-10-13 | 2022-10-15 | -1.55 | 2 |
| 2022-09-22 | 2022-09-28 | -1.42 | 5 |
| 2022-09-19 | 2022-09-20 | -1.04 | 1 |
| 2022-08-19 | 2022-08-19 | -0.98 | 0 |
| 2022-08-24 | 2022-08-26 | -0.92 | 2 |